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L² Optimization in Discrete FIR Estimation: Exploiting State-Space Structure

Levinson, Yaron and Mirkin, Leonid LU (2013) In SIAM Journal of Control and Optimization 51(1). p.419-441
Abstract
This paper studies the L² (mean-square) optimal design of discrete-time FIR estimators. A solution procedure, which reduces the problem to a static matrix optimization problem admitting a closed-form solution, is proposed. In the latter solution, a special state-space structure of the associated matrices is exploited to obtain efficient formulae with the computational complexity proportional to the length of the impulse response of the estimator. Unlike previously available least-square FIR results, our treatment does not impose unnecessarily restrictive assumptions on the process dynamics and can handle interpolation constraints on the unit circle, which facilitates the inclusion of steady-state performance requirements.
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author
and
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
FIR estimation, L² optimization, state-space techniques
in
SIAM Journal of Control and Optimization
volume
51
issue
1
pages
419 - 441
publisher
Society for Industrial and Applied Mathematics
ISSN
1095-7138
language
English
LU publication?
yes
id
32a1c37d-b831-4b77-be67-df0afe47adf5 (old id 3469476)
date added to LUP
2016-04-01 11:14:27
date last changed
2018-11-21 19:57:06
@article{32a1c37d-b831-4b77-be67-df0afe47adf5,
  abstract     = {{This paper studies the L² (mean-square) optimal design of discrete-time FIR estimators. A solution procedure, which reduces the problem to a static matrix optimization problem admitting a closed-form solution, is proposed. In the latter solution, a special state-space structure of the associated matrices is exploited to obtain efficient formulae with the computational complexity proportional to the length of the impulse response of the estimator. Unlike previously available least-square FIR results, our treatment does not impose unnecessarily restrictive assumptions on the process dynamics and can handle interpolation constraints on the unit circle, which facilitates the inclusion of steady-state performance requirements.}},
  author       = {{Levinson, Yaron and Mirkin, Leonid}},
  issn         = {{1095-7138}},
  keywords     = {{FIR estimation; L² optimization; state-space techniques}},
  language     = {{eng}},
  number       = {{1}},
  pages        = {{419--441}},
  publisher    = {{Society for Industrial and Applied Mathematics}},
  series       = {{SIAM Journal of Control and Optimization}},
  title        = {{L² Optimization in Discrete FIR Estimation: Exploiting State-Space Structure}},
  volume       = {{51}},
  year         = {{2013}},
}